You should check the distributed messages header fields and find out if X-Loop, Reply-To, Erros-to header fields refer to the right email address. If not, you problably have a DNS misconfiguration or your mail server (sendmail, postfix) is incorrectly configured regarding masquerading. Check the MASQUERADE_AS and MASQUERADE_DOMAIN sendmail features.

You may want to host all your Sympa virtual host web interfaces (http:main.host/vhost1/sympa, http:main.host/vhost2/sympa, ...) on a single web host. Sympa allows to do so via the http_host robot.conf configuration parameter (see the related documentation). The http_host parameter is used by Sympa to determine which Sympa virtual host is contacted ; this parameter can include an optional path.